## Advances in Fixed Income Valuation Modeling and Risk ManagementAdvances in Fixed Income Valuation Modeling and Risk Management provides in-depth examinations by thirty-one expert research and opinion leaders on topics such as: problems encountered in valuing interest rate derivatives, tax effects in U.S. government bond markets, portfolio risk management, valuation of treasury bond futures contract's embedded options, and risk analysis of international bonds. |

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### Contents

The Four Faces of an Interest Rate Model | 21 |

ArbitrageFree Bond Canonical Decomposition | 33 |

Problems Encountered in Valuing Interest Rate Derivatives | 69 |

Recent Advances in Corporate Bond Valuation | 85 |

An Options Approach to Commercial Mortgages | 103 |

A TwoFactor Model for the Valuation of | 135 |

Pricing and Hedging Interest Rate Risks with | 153 |

l0 Valuation and Analysts of ARMs | 171 |

l2 An Integrated Framework for Valuation | 213 |

l3 Tax Effects in U S Government Bond Markets | 233 |

l4 FixedIncome Risk | 251 |

l5 Advanced Risk Measures for FixedIncome Securities | 269 |

l6 Yield Curve Risk Management | 281 |

l7 Portfolio Risk Management | 317 |

l8 Numerical Pitfalls of LatticeBased Duration | 327 |

Modeling and Forecasting Interest Rate Volatility with | 345 |

### Common terms and phrases

amortization analysis arbitrage-free assets assume basis points bond price bond's Brady bonds calculated callable bond caps and floors cash flows chapter CIR model collateralized commercial mortgage corporate bonds covariance matrix debt denotes depends discount bond duration and convexity embedded options equation estimate example Exhibit expected exposure factor model Financial fixed income forecast forward rates function futures contract GARCH models GNMA GNMA ARMs interest rate derivatives interest rate model interest rate risk interest rate volatility investors Journal of Finance lattice loan market prices maturity multi-factor model parameters path pathwise values payment periodic cap portfolio manager premium present value probability reset result risk model risk neutral risk-free scenario shift short rate specific spot rate spread standard deviation stochastic process strategy structure of interest term structure tion trade Treasury bond triplets valuation value at risk variable variance vector yield curve zero zero-coupon